RT Journal Article
SR Electronic
T1 Higher-Moment Portfolio Theory
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 49
OP 55
DO 10.3905/jpm.2005.570150
VO 31
IS 4
A1 Yannick Malevergne
A1 Didier Sornette
YR 2005
UL https://pm-research.com/content/31/4/49.abstract
AB A new portfolio theory takes into account the non-Gaussian properties of asset returns. The non-Gaussian properties of a portfolio are quantified by the so-called moments and cumulants of its distribution of returns. Generalizing the concept of efficient frontiers, the non-Gaussian efficient frontier depends on the chosen risk measure, corresponding to different orders or combinations of centered moments or cumulants. These extended formulas let investors analyze the conditions under which it is possible to have one's cake and eat it too, in order to construct a portfolio with both higher return and fewer major risks.